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Autoren: 
Gropp, Reint E.
Sørensen, Christoffer Kok
Lichtenberger, Jung-Duk
Datum: 
2007
Reihe/Nr.: 
ECB Working Paper 714
Zusammenfassung: 
This paper investigates the dynamics of the pass-through between market interest rates and bank interest rates in the euro area as a function of cyclical and structural differences in the financial system. We find that overall the speed of adjustment for loans is significantly faster than for deposits, and that the pass-through is especially sluggish for demand deposits and savings deposits. Bank soundness, credit risk and interest rate risk are found to exert a significant influence on the speed of pass through. We also find evidence of faster (slower) pass-through for loans (deposits) if the change in monetary policy was up (down). Overall, we find that competition among banks and competition from financial markets result in a faster bank interest rate pass-through. Finally, we find some evidence that financial innovation speeds up the pass-through for those market segments that are most directly affected by these innovations.
Schlagwörter: 
banks
financial structure
monetary transmission
retail rates
JEL: 
E43
G21
Dokumentart: 
Working Paper

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